Mathematical Statistics (MA212M)

Lecture Slides
Lecture 4
Independence

Def: A countable collection of events E1 , E2 , . . . are said to be

pairwise independent if Ei and Ej are independent for i 6= j.
Def: A finite collection of events E1 , E2 , . . . , En are said to be
independent(or mutually independent) if for any sub-collection
En1 , . . . , Enk of E1 , E2 , . . . , En ,
k
\  k
Y
P Enk = p(Eni ) .
i =1 i =1

Def: A countable collection of events E1 , E2 , . . . are said to be

independent if any finite sub-collection are independent.
Remarks
◮ To verify the independence of E1 , E2 , . . . , En we must check
2n − n − 1 conditions. For example, for n = 3, the conditions
that need to be checked are
P(E1 ∩ E2 ) = P(E1 )P(E2 ), P(E1 ∩ E3 ) = P(E1 )P(E3 ), P(E2 ∩
E3 ) = P(E2 )P(E3 ), P(E1 ∩ E2 ∩ E3 ) = P(E1 )P(E2 )P(E3 ).
◮ Independence implies pairwise independence.
◮ Pairwise independence does not imply independence in general.
Example 19: Let S = {HH, HT , TH, TT }. Suppose all
elementary events are equally likely. Let E1 = {HH, HT },
E2 = {HH, TH} and E3 = {HH, TT }. Then E1 , E2 , E3 are
pairwise independent but not independent.
◮ P(E1 ∩ E2 ∩ E3 ) = P(E1 )P(E2 )P(E3 ) is also not sufficient.
Example 20: Let S = {(i , j) : i = 1, . . . , 6, j = 1, . . . , 6}.
Suppose all elementary events are equally likely. Define
E1 = {1st roll is 1, 2 or 3}, E2 = {1st roll is 3, 4 or 5} and
E3 = {Sum of the rolls is 9}.
Conditional Independent

Def: Given an event C two events A and B are said to be

conditionally independent if P(A ∩ B|C ) = P(A|C )P(B|C ).
Example 21: A box contains two coins: a fair coin and one fake
two-headed coin, i.e., (P(H) = 1). You choose a coin at random and
toss it twice. Define the following events.

A = First coin toss results in a H.

B = Second coin toss results in aH.
C = Coin 1 (regular) has been selected.

Then A and B are conditionally independent given C . Are A and B

independent?
Random Variable
Random Variables

Def: A function X : S → R is called a random variable.

Example 1: Tossing a fair coin n times. Assume that the tosses are
independent. Let X : S → R be defined by the number of heads.

Example 2: Throwing a fair die twice. Assume the throws are

independent. Let X : S → R be defined by the sum of the outcomes.

Example 3: Suppose we are testing the reliability of a battery. Define

X : S → R by X1 (ω) = ω. Now suppose we are mainly interested in
whether the battery would last more than 2 years or not. Then
X2 = 1(2,∞) .
Example 4: Take n=2. P(X = 0) = P(X = 2) = 1/4,
P(X = 1) = 1/2.

Example 5: P(X = 2) = 1/36, P(X = 3) = 2/36, P(X = 4) =

3/36, P(X = 5) = 4/36, P(X = 6) = 5/36, P(X = 7) = 6/36,
P(X = 8) = 5/36, P(X = 9) = 4/36, P(X = 10) = 3/36,
P(X = 11) = 2/36, P(X = 12) = 1/36.
R
Example 6: P(I ) = I e −t dt, defines a probability on B(0, ∞).
P(X2 = 1) = e −2 , P(X2 = 0) = 1 − e −2 .